A-Share Screening with Turnover, Rising DEA, and Mid-Cap Float
Summary
This A-share stock screen combines daily turnover, a rising DEA signal, and circulating market capitalization. It seeks stocks with turnover between 3% and 12%, capitalization between 5 billion and 10 billion yuan, and an upward-moving DEA measure. The accompanying indicator and Python examples show ways to express the filters, although their DEA calculations are not fully consistent: one uses moving-average conditions while the other derives a difference from exponential moving averages.
The article describes the turnover band as a liquidity and sample-quality filter, and the capitalization range as a way to focus on medium-sized companies. It warns that this range can exclude smaller high-growth stocks and limit exposure to larger companies. It suggests adding fundamental measures and other technical indicators, such as RSI. No backtest, performance data, or evidence that the filters predict returns is provided, so the screen is best understood as a selection recipe rather than a validated strategy.
Key ideas
- The screen requires turnover between 3% and 12%.\nIt selects stocks with a rising DEA-related signal.\nThe stated circulating market-capitalization range is 5 billion to 10 billion yuan.\nThe article identifies exclusions caused by its chosen capitalization range as a limitation.\nIt proposes combining technical filters with fundamental factors, but provides no performance evidence.
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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.